You have your main mesh that you’re previewing above in the ‘Mesh’ section, but you can choose to add another mesh to preview from the Additional Meshes bit.
You may have saved a collection of different skeletal meshes, for example different components of a character, called ‘MyAdditionalMeshes’ which you could then choose from the ‘Additional Meshes’ drop down menu.
Below that you can specify the specific skeletal mesh from that collection that you want to preview.